Let's assume that two different people both cancel one contract of a certain instrument at the same price. Is the OnMarketDepth method called twice (once for each user) or is it only called one time? I am essentially asking if OnMarketDepth is called every time a person adds/removes an order or if it groups together orders that happen at the same time and price and performs a calculation on this group of orders.
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Hello Ceraphen,
Thanks for your post.
This would ultimately depend on your data provider.
Data providers will either give level 2 updates as snapshots (aggregated data) or as individual updates.
Please reach out to your data feed provider directly for clarification on if they aggregate level 2 data or not.
Let me know if I may assist further.<span class="name">Brandon H.</span><span class="title">NinjaTrader Customer Service</span><iframe name="sig" id="sigFrame" src="/support/forum/core/clientscript/Signature/signature.php" frameborder="0" border="0" cellspacing="0" style="border-style: none;width: 100%; height: 120px;"></iframe>
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